Differences among Volatility Patterns of Visegrad Countries' Stock Markets

Current study focuses on returns of representative Morgan Stanley Capital International (MSCI) stock indices of selected Visegrad countries and the analysis of its volatility relations. We compare it with volatility relations of representative MSCI stock index returns formed from markets' data of those countries, as well. The aim of the paper is to estimate differences in volatility relations among selected MSCI stock indices in crises times. We paid our attention to the global financial crisis period and the sovereign debt crisis in the European Monetary Union (EMU), too. As the major estimation method it is deployed GARCH (1,1) and TARCH (1,1) models. We obtained data in daily frequency for period from June 2002 till June 2015. Whereas within the stock returns of MSCI CEE index its previous day volatility is significant, it does not remain in selected Visegrad countries. We also prove what affects its volatility more, whether the increase or decrease of stock returns. Otherwise, the effect of higher volatility affected by increase of those stock returns is the strongest in times before the global financial crisis, whereas it is weaker in times of the sovereign debt crisis in the EMU.